Some contributions to selection and estimation in the normal linear model

✍ Scribed by J. H. Venter; S. J. Steel

• Publisher: Springer Japan
• Year: 1992
• Tongue: English
• Weight: 837 KB
• Volume: 44
• Category: Article
• ISSN: 0020-3157
• DOI: 10.1007/bf00058641

✦ Synopsis

We study the choice of the quantity a in the FPE~ criterion for selecting a member of a class of normal linear models having an orthogonal structure. Two approaches are discussed, namely fixing the maximal estimation risk at a prescribed level and using minimax regret. Estimation of the risk actually achieved and an illustrative example are also discussed.